Hedge Comparison

Research evidence excerpt

Hedge Comparison

Hedge Comparison CreditPhilipDerivativeDobrinovStrategy

Note: The size of 3M hedges are determined by scaling the premiums spent to $10 MM. To get the expected index levels in a stress scenario, we apply the same historical moves to current spot levels. +1 212 723 2118

4-Aug-26

Scenario: The Financial Crisis (2008-2009)

Index Maturity Structure Strike Delta Price Notional/Contracts Premium Spot Expected Payout P&L Payout Ratio*

CDX IG 18-Nov-26 Payer 77.50 20% 7.09c 14,112,915,099 10,000,000 51.34 159 487,560,167 477,560,167 48.8

CDX IG 18-Nov-26 Payer 95.00 10% 3.89c 25,717,333,750 10,000,000 51.34 159 703,562,888 693,562,888 70.4

CDX IG 18-Nov-26 Payer Spread 60/85 40%/15% 10.31c 9,699,433,955 10,000,000 51.34 159 100,636,411 90,636,411 10.1

CDX HY 18-Nov-26 Payer 102.50 20% 36.12c 2,768,169,474 10,000,000 107.88 75 755,453,524 745,453,524 75.5

CDX HY 18-Nov-26 Payer 99.00 10% 18.51c 5,402,148,696 10,000,000 107.88 75 1,285,210,350 1,275,210,350 128.5

CDX HY 18-Nov-26 Payer Spread 105.5/101.5 40%/15% 46.91c 2,131,537,617 10,000,000 107.88 75 85,261,505 75,261,505 8.5

SPX 20-Nov-26 Put 7075 20% 1.28% 1,027 9,992,710 7,600.50 3,637 353,110,785 343,118,075 35.3

SPX 20-Nov-26 Put 6550 10% 0.66% 1,980 9,999,000 7,600.50 3,637 576,828,340 566,829,340 57.7

SPX 18-Nov-26 Put Spread 7550/6850 40%/15% 1.61% 816 9,996,000 7,600.50 3,637 57,120,000 47,124,000 5.7

VIX 18-Nov-26 Call 40.0 20% 7.82% 80,645 9,999,980 15.86 79 310,805,830 300,805,850 31.1

VIX 18-Nov-26 Call 70.0 10% 3.53% 178,571 9,999,976 15.86 79 152,499,634 142,499,658 15.3

VIX 18-Nov-26 Call Spread 25/55 40%/15% 9.46% 66,666 9,999,900 15.86 78.54 199,998,000 189,998,100 20.0

Payout Ratios, Financial Crisis

CDX HY 4/4/1900 Roll Adjusted Date 120 IG Spread HY Px SPX VIX